IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v3y2004i3p249-260.html
   My bibliography  Save this article

Valor En Riesgo Con Aproximaciones Cuadráticas

Author

Listed:
  • Elías Ramírez Ramírez

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

En este trabajo se propone un enfoque cuadrático para el cálculo del Valor en Riesgo (VaR) para un portafolio con n activos y m factores de riesgo, basado en la expansión Cornish-Fisher y en el cálculo de la delta y la gamma de cada activo. Esta metodología presenta ventajas sobre técnicas de simulación basadas en la valoración total de la posición ya que es menos intensiva computacionalmente, y sobre técnicas basadas en aproximaciones lineales las cuales tienden a sobreestimar la posición en riesgo cuando el portafolio contiene activos no lineales con respecto a su factor de riesgo asociado, el cual se distribuye normalmente.

Suggested Citation

  • Elías Ramírez Ramírez, 2004. "Valor En Riesgo Con Aproximaciones Cuadráticas," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(3), pages 249-260, Septiembr.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:3:p:249-260
    as

    Download full text from publisher

    File URL: http://www.remef.org.mx/index.php/primera/article/view/169
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Valor en Riesgo; Portafolios no lineales; Expansión Cornish-Fisher;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:3:y:2004:i:3:p:249-260. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.